Deep Field Capital AG : Intraday Crisis Alpha Program (ICA) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.57% Dec Performance -1.73% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 7.18% Sharpe (RFR=1%) 0.89 CAROR 7.36% Assets $ 23.0M Worst DD -6.00 S&P Correlation -0.26 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Dec Qtr 2019 1yr 3yr 5yr 10yr Since5/2017 Intraday Crisis Alpha Program (ICA) -1.73 -1.34 -0.57 -0.57 - - - 20.84 S&P 500 2.86 8.53 28.87 28.87 - - - 32.59 +/- S&P 500 -4.59 -9.87 -29.43 -29.43 - - - -11.75 Strategy Description SummaryICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 5.00 Management Fee 1.00% Performance Fee 25.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 7400 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -15.00% Worst Peak-to-Trough -5.87% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Momentum 100.00% Composition Stock Indices 100.00% SummaryICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Investment StrategyICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Trading only intraday and closing out all positions by the end of the trading session, ICA is extremely capital efficient and can be implemented on top of any portfolio without additional capital requirements. While the program has initially been developed and traded on the S&P 500 futures, it has matured into a global program, trading a total of 16 equity index futures in the uncorrelated intraday sessions in the US, Asia (added in 01/2019) and Europe (added in 11/2019).Risk ManagementTrade generation, execution and risk management is electronic and automated, utilizing in-house proprietary software. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -6.00 7 - 3/1/2019 10/1/2019 -1.30 1 2 10/1/2018 11/1/2018 -1.09 5 1 8/1/2017 1/1/2018 -0.76 3 1 6/1/2018 9/1/2018 -0.28 2 1 5/1/2017 7/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 19.78 5 2/1/2018 6/1/2018 6.10 4 12/1/2018 3/1/2019 2.55 1 11/1/2019 11/1/2019 1.69 1 8/1/2017 8/1/2017 1.55 2 8/1/2019 9/1/2019 1.46 1 10/1/2018 10/1/2018 0.70 1 5/1/2017 5/1/2017 0.28 1 6/1/2019 6/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.72 2 4/1/2019 5/1/2019 -2.10 1 10/1/2019 10/1/2019 -2.08 1 7/1/2019 7/1/2019 -1.73 1 12/1/2019 12/1/2019 -1.30 1 11/1/2018 11/1/2018 -1.09 5 9/1/2017 1/1/2018 -0.76 3 7/1/2018 9/1/2018 -0.28 2 6/1/2017 7/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods32.0030.0027.0021.0015.00 Percent Profitable50.0063.3381.4885.7193.33 Average Period Return0.612.004.4511.2816.46 Average Gain2.053.956.1713.2917.64 Average Loss-0.82-1.38-3.10-0.78-0.11 Best Period8.0015.7519.6721.6825.98 Worst Period-2.28-4.04-4.60-1.56-0.11 Standard Deviation2.074.486.998.758.81 Gain Standard Deviation1.944.506.607.767.81 Loss Standard Deviation0.861.371.230.70 Sharpe Ratio (1%)0.260.390.571.171.70 Average Gain / Average Loss2.502.861.9917.02154.77 Profit / Loss Ratio2.504.938.75102.122166.79 Downside Deviation (10%)1.051.802.632.582.56 Downside Deviation (5%)0.871.271.620.710.42 Downside Deviation (0%)0.831.151.420.370.03 Sortino Ratio (10%)0.200.430.752.443.47 Sortino Ratio (5%)0.611.382.4414.5435.80 Sortino Ratio (0%)0.741.733.1430.86559.20 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 5 2.55 11/2019 Stock Index Trader Index Month 10 1.39 8/2019 Stock Index Trader Index Month 5 2.74 2/2019 Stock Index Trader Index Month 5 2.74 2/2019 Stock Index Trader Index Month 5 2.74 2/2019 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel